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person:"Bollerslev, Tim"
subject:"Volatility"
~person:"Lucas, André"
~subject:"Nonparametric statistics"
~subject:"Scientific modelling"
~type_genre:"Article in journal"
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Search: subject_exact:"Estimation theory"
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Volatility
Nonparametric statistics
Scientific modelling
Estimation theory
31
Schätztheorie
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Time series analysis
14
Zeitreihenanalyse
14
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Bollerslev, Tim
Lucas, André
Linton, Oliver
38
Li, Qi
31
Su, Liangjun
22
Parmeter, Christopher F.
21
Florens, Jean-Pierre
20
Gao, Jiti
19
Racine, Jeffrey
19
Zhang, Xinyu
19
Cai, Zongwu
18
Kumbhakar, Subal
18
Simar, Léopold
18
Chen, Songnian
17
Chen, Xiaohong
17
Kumar, Dilip
17
Sun, Yiguo
15
Ullah, Aman
15
Escanciano, Juan Carlos
14
Li, Degui
14
Maheswaran, S.
14
Tsionas, Efthymios G.
14
Horowitz, Joel
13
Li, Jia
13
White, Halbert
13
Fan, Jianqing
12
Henderson, Daniel J.
12
Hoderlein, Stefan
12
Phillips, Peter C. B.
12
Todorov, Viktor
12
Lewbel, Arthur
11
Van Keilegom, Ingrid
11
Wan, Alan T. K.
11
Mammen, Enno
10
Otsu, Taisuke
10
Tauchen, George Eugene
10
Yao, Feng
10
Breunig, Christoph
9
Kristensen, Dennis
9
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9
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9
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Journal of econometrics
3
International journal of forecasting
1
Journal of financial econometrics
1
Journal of forecasting
1
The review of economics and statistics
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ECONIS (ZBW)
10
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1
Occupation density estimation for noisy high-frequency data
Zhang, Congshan
;
Li, Jia
;
Bollerslev, Tim
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 189-211
Persistent link: https://www.econbiz.de/10013441646
Saved in:
2
Generalized jump regressions for local moments
Bollerslev, Tim
;
Li, Jia
;
Chaves, Leonardo Salim Saker
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 1015-1025
Persistent link: https://www.econbiz.de/10012653221
Saved in:
3
High-dimensional multivariate realized volatility estimation
Bollerslev, Tim
;
Meddahi, Nour
;
Nyawa, Serge
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 116-136
Persistent link: https://www.econbiz.de/10012303903
Saved in:
4
Fractional integration and fat tails for realized covariance kernels
Opschoor, Anne
;
Lucas, André
- In:
Journal of financial econometrics
17
(
2019
)
1
,
pp. 66-90
Persistent link: https://www.econbiz.de/10012054426
Saved in:
5
Exploiting the errors : a simple approach for improved volatility forecasting
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
192
(
2016
)
1
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011610646
Saved in:
6
Score-driven exponentially weighted moving averages and Value-at-Risk forecasting
Lucas, André
;
Zhang, Xin
- In:
International journal of forecasting
32
(
2016
)
2
,
pp. 293-302
Persistent link: https://www.econbiz.de/10011596763
Saved in:
7
Numerically accelerated importance sampling for nonlinear non-Gaussian state-space models
Koopman, Siem Jan
;
Lucas, André
;
Scharth, Marcel
- In:
Journal of business & economic statistics : JBES ; a …
33
(
2015
)
1
,
pp. 114-127
Persistent link: https://www.econbiz.de/10011389921
Saved in:
8
Quantile forecasting for credit risk management using possibly misspecified hidden Markov models
Banachewicz, Konrad
;
Lucas, André
- In:
Journal of forecasting
27
(
2008
)
7
,
pp. 566-586
Persistent link: https://www.econbiz.de/10003779594
Saved in:
9
High-frequency data, frequency domain inference, and volatility forecasting
Bollerslev, Tim
;
Wright, Jonathan H.
- In:
The review of economics and statistics
83
(
2001
)
4
,
pp. 596-602
Persistent link: https://www.econbiz.de/10001627219
Saved in:
10
A note on optimal estimation from a risk-management perspective under possibly misspecified tail behavior
Lucas, André
- In:
Journal of business & economic statistics : JBES ; a …
18
(
2000
)
1
,
pp. 31-39
Persistent link: https://www.econbiz.de/10001441592
Saved in:
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